3 papers
q-fin.TR2025
Revisiting the Excess Volatility Puzzle Through the Lens of the Chiarella Model
Jutta G. Kurth, Adam A. Majewski, Jean-Philippe Bouchaud
We amend and extend the Chiarella model of financial markets to deal with arbitrary long-term value drifts in a consistent way. This allows us to improve upon existing calibration…
q-fin.ST2018
Co-existence of Trend and Value in Financial Markets: Estimating an Extended Chiarella Model
Adam Majewski, Stefano Ciliberti, Jean-Philippe Bouchaud
Trend and Value are pervasive anomalies, common to all financial markets. We address the problem of their co-existence and interaction within the framework of Heterogeneous Agent B…
q-fin.PM2017
Black was right: Price is within a factor 2 of Value
J. P. Bouchaud, S. Ciliberti, Y. Lempérière +3
We provide further evidence that markets trend on the medium term (months) and mean-revert on the long term (several years). Our results bolster Black's intuition that prices tend…